A1166
Title: Modification index for ARMA models
Authors: Viktor Eriksson - Uppsala University (Sweden) [presenting]
Abstract: Model selection procedures often involve the estimation of similar models. A Modification Index is a direct way of estimating how to extend an estimated model without the need to re-estimate it. Modification indices are commonly used in structural equation modeling and factor analysis but have of yet not been applied within the context of ARMA modelling of time series. Necessary conditions are established, and Monte Carlo simulations are used to investigate small sample properties. It is exemplified with an empirical illustration.
